Selecting Macroeconomic Variables as Explanatory Factors of Emerging Stock Market Returns
Australian National University (ANU) - Faculty of Economics & Commerce
Vincent J. Hooper
Plymouth Videoconferencing Services
Emerging stock markets have been identified as being at least partially segmented from global capital markets. As a consequence, it has been argued that local risk factors rather than world risk factors are the primary source of equity return variation in these markets. This paper seeks to address the question of whether macroeconomic variables may proxy for local risk sources. We find moderate evidence to support this hypothesis. Further, we investigate the degree of commonality in exposures across emerging stock market returns using a principal components approach. We find little evidence of commonality when emerging markets are considered collectively, however at the regional level considerable commonality is found to exist.
Number of Pages in PDF File: 30
JEL Classification: G1working papers series
Date posted: May 2, 2000
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo8 in 0.641 seconds